Kamaloka (or Kama-Loka) is the Theosophical conception of purgatory.
Starting his occult career as a Theosophist, Steiner accepted the concept —
although, as he did with almost everything he discussed, he put his own stamp on it. 
Here are some intriguing statements Steiner made about kamaloka.
They include interesting references to other matters, such as Moses, animals, Rosicrucianism, etc. —
and, crucially, they give us part of what he taught happens to us when we die.
We also get a portion of Steiner’s account of his break with Theosophy.
“In the case of ordinary men, then, we have two corpses, of the physical and etheric bodies; we are left with the astral body and the Ego. If we are to understand this condition we must realise that in his earthly life a man's consciousness depends entirely on his senses. Let us think away everything that comes to us through our senses: without our eyes, absolute darkness; without our ears, absolute silence; and no feeling of heat or cold without the appropriate senses. If we can clearly envisage what will remain when we are parted from all our physical organs, from everything that normally fills our daytime consciousness and enlivens the soul, from everything for which we have to be grateful to the body all day long, we shall begin to form some conception of what the condition of life is after death, when the two corpses have been laid aside. This condition is called Kamaloka, the place of desires. It is not some region set apart: Kamaloka is where we are, and the spirits of the dead are always hovering around us, but they are inaccessible to our physical senses. What, then, does a dead man feel? To take a simple example, suppose a man eats avidly and enjoys his food. The clairvoyant will see the satisfaction of his desire as a brownish-red thought-form in the upper part of his astral body. Now suppose the man dies: what is left to him is his desire and capacity for enjoyment. To the physical part of a man belongs only the means of enjoyment: thus we need gums and so forth in order to eat. The pleasure and the desire belong to the soul, and they survive after death. But the man no longer has any means of satisfying his desires, for the appropriate organs are absent. And this applies to all kinds of wishes and desires. He may want to look at some beautiful arrangements of colours — but he lacks eyes; or to listen to some harmonious music — but he lacks ears.
“How does the soul experience all this after death? The soul is like a wanderer in the desert, suffering from a burning thirst and looking for some spring at which to quench it; and the soul has to suffer this burning thirst because it has no organ or instrument for satisfying it. It has to feel deprived of everything, so that to call this condition one of burning thirst is very appropriate. This is the essence of Kamaloka. The soul is not tortured from outside, but has to suffer the torment of the desires it still has but cannot satisfy.
“Why does the soul have to endure this torment? The reason is that man has to wean himself gradually from these physical wishes and desires, so that the soul may free itself from the Earth, may purify and cleanse itself. When that is achieved, the Kamaloka period comes to an end and man ascends to Devachan.” — Rudolf Steiner, AT THE GATES OF SPIRITUAL SCIENCE (Rudolf Steiner Publishing Co., 1986), lecture 3, GA 95.
“The more forcefully the impulses belonging to the descending phase of evolution work upon a soul, the more immoral it tends to become. This fact is confirmed by a very interesting finding of occult research. You know that when a man passes through the gate of death, he lays aside his physical and etheric bodies and for a short time has a retrospective view of his past life on earth. A kind of sleep then ensues and after a few months, or perhaps years, he wakens on the astral plane, in Kamaloka. Then follows the life in Kamaloka, when the earthly life is lived over again in backward order, three times as quickly.
“At the beginning of life in Kamaloka a very significant experience comes to every individual. In the case of most Europeans or, speaking generally, of men belonging to modern civilisation, this experience takes the following form. — At the beginning of life in Kamaloka a spiritual Individuality shows us everything we have done out of selfish motives in the last life, shows us a kind of register of all our transgressions. The more concretely you picture this experience, the better. At the beginning of the Kamaloka period it is actually as though a figure were presenting us with the register of our physical life. The important fact — for which, naturally, there can be no further proof because it can be confirmed only by occult experience — is that the majority of men belonging to European civilisation recognise Moses in this figure. This fact has always been known to Rosicrucian research since the Middle Ages and in recent years it has been confirmed by very delicate investigations.
“You can gather from this that at the beginning of his life in Kamaloka man feels a very great responsibility towards the pre-Christian powers for having allowed himself to be drawn downwards, and it is an actual fact in occult life that it is the Moses-Individuality who demands reckoning for the wrongs committed in our time.” — Rudolf Steiner, “Buddha and Christ” (ANTHROPOSOPHICAL QUARTERLY, Vol. 12, No. 4, Autumn 1964), a lecture, GA 130.
“In the astral world, in kamaloka, we approximate the nature of animals through our passions. This fact is the source of a common misunderstanding with regard to the doctrine of transmigration of souls ... This doctrine, which teaches that we should live in ways that do not cause us to incarnate as animals, does not apply to physical life but only to higher life ... For example, one who cultivates the character of a cat during earthly life appears in the form of a cat in kamaloka." — Rudolf Steiner, THE FOURTH DIMENSION (Anthroposophic Press, 2001), p. 24. 
“This is what animals leave behind them when they die. When animals die — not those species, perhaps, which I have already described in another way, but including such as belong, for instance, to the four-footed mammals — when these animals die there also dies, or rather comes to life in their dying, a being which is entirely composed of the element of fear. With the animal's death, fear dies, that is to say fear comes to life. In the case of beasts of prey this fear is actually assimilated with their food. The beast of prey, which tears its booty to pieces, devours the flesh with satisfaction. And towards this satisfaction in the consumption of flesh there streams fear, the fear which the plant-eating animal only gives off from itself when it dies, but which already streams out from the beast of prey during its life-time. Through this the astral bodies of such animals as lions and tigers are riddled with fear which they do not as yet detect during their lifetime, but which after death these animals drive back because it goes in opposition to their feeling of satisfaction. Thus carnivorous animals really have an after life in their group soul, an after life which must be said to present a much more terrible Kamaloka than anything which can be experienced by man, and this simply on account of their essential nature.
“Naturally you must regard these things as being experienced in quite a different consciousness. If you were suddenly to become materialistic, and began to imagine what the beast of prey must experience by putting yourself in its place, thinking: What would such a Kamaloka be like for me? and were then to judge the beast of prey according to what such a Kamaloka might be for you, then certainly you are materialistic, indeed animalistic, for you transpose yourself into animal nature. These things must of course be understood if one is to comprehend the world; but we must not put ourselves into their category, as when the materialistic puts the whole world into the category of lifeless matter.” — Rudolf Steiner, MAN AS SYMPHONY OF THE CREATIVE WORD (Rudolf Steiner Press, 1970), lecture 11, GA 230.
“In times of great historical change things are not decided in as rational and direct a manner as one likes to think. Thus I did not find it at all surprising that the theosophists who attended the lecture cycle on anthroposophy when the German Section was established, remarked that it did not agree in the slightest with what Mrs Besant was saying.
“Of course it could not agree, because the answers had to be found in what the deepened consciousness of the present can provide. Until about 1907 each step taken by anthroposophy was a battle against the traditions of the Theosophical Society. At first the members of the Theosophical Society were the only people whom one could approach with these things. Every step had to be conquered. A polemical approach would have been useless; the only sensible course was hope, and making the right choices.
“These things certainly did not happen without inner reservations. Everything had to be done at the right time and place, at least in my view. I believe that in my THEOSOPHY I did not go one step beyond what it was possible to publish and for a certain number of people to accept at that time. The wide distribution of the book since then shows that this was an accurate assumption.
“It was possible to go further among those who were engaged in a more intensive search, who had been caught up in the stream set in motion by Blavatsky. I will take only one instance. It was common in the Theosophical Society to describe how human beings went through what was called kamaloka after death. To begin with, the description given by its leaders could only be put in a proper context in my book THEOSOPHY by avoiding the concept of time. But I wanted to deal with the correct concept of time within the Society.
“As a result I gave lectures about life between death and a new birth within the then Dutch Section of the Theosophical Society. And there I pointed out, right at the start of my activity, that it is nonsense simply to say that we pass through kamaloka as if our consciousness is merely extended a little. I showed that time has to be seen as moving backwards, and I described how our existence in kamaloka is life in reverse, stage by stage, only at three times the pace of the life we spend on earth. Nowadays, of course, people leading their physical lives have no idea that this backward movement is a reality in the spiritual realm, because time is imagined simply as a straight line.” — Rudolf Steiner, THE ANTHROPOSOPHIC MOVEMENT (Rudolf Steiner Press, 1993), lecture 5, GA 258.
As we all know, humanity is evolving from Saturn to Vulcan. Our next stop after Earth is Jupiter. But because we cannot get to Jupiter yet, spiritual way stations have been provided. “In order that man, though not yet able to enter the Jupiter region, may receive, between death and a new birth, something of the forces of Jupiter and also of Saturn, many planetoids are interspersed between Mars and Jupiter; in their outer aspect they are constantly being discovered by the astronomers. They make up the region which in its spiritual aspect is experienced by a man after death because he cannot yet reach Jupiter. They have the remarkable characteristic of being spiritual colonies, as it were, of beings from Jupiter and Saturn who have withdrawn there. And before a man is ripe for existence on Earth, he can find in this region of the planetoids, which are there for that purpose, a kind of preparatory substitute, before he is able to enter the region of Jupiter and Saturn. At present, therefore, by the time a man has gone through death and rebirth, he has achieved his Mars-organisation, and has absorbed those Jupiter and Saturn forces to be found in the colonised regions of the planetoids. With the after-effects of this — we still have to learn about them — the human being embarks on another earthly life.” — Rudolf Steiner, The EVOLUTION OF CONSCIOUSNESS (Rudolf Steiner Press, 1966), lecture 10, GA 227.
[Rudolf Steiner Press, 2006.]
 Here’s the Theosophical take: “Kama-loka (Sanskrit) [from kama desire + loka world, sphere] Desire world; a semi-material plane, subjective and invisible to us, the astral region penetrating and surrounding the earth. It is the original of the Christian purgatory, where the soul undergoes purification from its evil deeds and the material side of its nature. It is equivalent to the Hades of the Greeks and the Amenti of the Egyptians, the land of Silent Shadows.” — ENCYCLOPEDIC THEOSOPHICAL GLOSSARY (Theosophical University Press, 1999).
 "The transmigration of souls is said to make the soul go into the animals later on. This is nonsense ... [Y]ou are lion-like, cat-like, tiger-like, crocodile-like when you have died. And because one has to be a human being again, this has to be put aside. This is done during the one-third-the-length-of-life period [of kamaloka] ... Someone who lived to the age of 60 will need 20 years for this." — Rudolf Steiner, FROM LIMESTONE TO LUCIFER (Rudolf Steiner Press, 1999), p. 145.
— Compiled by Roger Rawlings